Ilze Kalnina

Works (4)

Updated: July 5th, 2023 14:40

2022 article

Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas

Kalnina, I. (2022, March 29). JOURNAL OF BUSINESS & ECONOMIC STATISTICS.

By: I. Kalnina*

author keywords: Market microstructure noise; Realized volatility; Subsampling
Source: Web Of Science
Added: April 18, 2022

2017 journal article

Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency

Journal of the American Statistical Association, 112(517), 384–396.

By: I. Kalnina* & D. Xiu*

author keywords: Derivatives; High-frequency data; Implied volatility; Spot correlation; VIX
Source: Crossref
Added: August 28, 2020

2011 journal article

Subsampling high frequency data

Journal of Econometrics, 161(2), 262–283.

By: I. Kalnina*

author keywords: Subsampling; Market microstructure noise; High frequency data; Realised volatility
Source: Crossref
Added: October 25, 2020

2008 journal article

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Journal of Econometrics, 147(1), 47–59.

By: I. Kalnina* & O. Linton*

author keywords: Endogenous noise; Market microstucture; Realised volatility; Semimartingale
Source: Crossref
Added: August 28, 2020